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PRF vs. VTV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PRF vs. VTV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco FTSE RAFI US 1000 ETF (PRF) and Vanguard Value ETF (VTV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.55%
12.77%
PRF
VTV

Returns By Period

The year-to-date returns for both investments are quite close, with PRF having a 21.29% return and VTV slightly higher at 21.74%. Both investments have delivered pretty close results over the past 10 years, with PRF having a 10.90% annualized return and VTV not far behind at 10.57%.


PRF

YTD

21.29%

1M

2.81%

6M

12.55%

1Y

29.30%

5Y (annualized)

13.67%

10Y (annualized)

10.90%

VTV

YTD

21.74%

1M

1.65%

6M

12.77%

1Y

29.27%

5Y (annualized)

11.77%

10Y (annualized)

10.57%

Key characteristics


PRFVTV
Sharpe Ratio2.722.90
Sortino Ratio3.764.08
Omega Ratio1.501.53
Calmar Ratio5.085.83
Martin Ratio17.7518.64
Ulcer Index1.68%1.59%
Daily Std Dev10.99%10.23%
Max Drawdown-60.35%-59.27%
Current Drawdown-0.35%-0.22%

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PRF vs. VTV - Expense Ratio Comparison

PRF has a 0.39% expense ratio, which is higher than VTV's 0.04% expense ratio.


PRF
Invesco FTSE RAFI US 1000 ETF
Expense ratio chart for PRF: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Correlation

-0.50.00.51.01.0

The correlation between PRF and VTV is 0.97, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

PRF vs. VTV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI US 1000 ETF (PRF) and Vanguard Value ETF (VTV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for PRF, currently valued at 2.72, compared to the broader market0.002.004.002.722.90
The chart of Sortino ratio for PRF, currently valued at 3.76, compared to the broader market-2.000.002.004.006.008.0010.0012.003.764.08
The chart of Omega ratio for PRF, currently valued at 1.50, compared to the broader market0.501.001.502.002.503.001.501.53
The chart of Calmar ratio for PRF, currently valued at 5.08, compared to the broader market0.005.0010.0015.005.085.83
The chart of Martin ratio for PRF, currently valued at 17.75, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.7518.64
PRF
VTV

The current PRF Sharpe Ratio is 2.72, which is comparable to the VTV Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of PRF and VTV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.72
2.90
PRF
VTV

Dividends

PRF vs. VTV - Dividend Comparison

PRF's dividend yield for the trailing twelve months is around 1.67%, less than VTV's 2.22% yield.


TTM20232022202120202019201820172016201520142013
PRF
Invesco FTSE RAFI US 1000 ETF
1.67%1.84%2.01%1.58%1.97%1.99%2.25%1.58%2.17%2.25%1.73%1.56%
VTV
Vanguard Value ETF
2.22%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%

Drawdowns

PRF vs. VTV - Drawdown Comparison

The maximum PRF drawdown since its inception was -60.35%, roughly equal to the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for PRF and VTV. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.35%
-0.22%
PRF
VTV

Volatility

PRF vs. VTV - Volatility Comparison

Invesco FTSE RAFI US 1000 ETF (PRF) has a higher volatility of 4.00% compared to Vanguard Value ETF (VTV) at 3.76%. This indicates that PRF's price experiences larger fluctuations and is considered to be riskier than VTV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.00%
3.76%
PRF
VTV